---------- Forwarded message ---------- Date: Tue, 12 Feb 2002 10:07:33 +0100 From: Beatrix Pawelczak pawelcza@ihs.ac.at Subject: Econometric Research Seminar at IHS

Dear Sir or Madam,

We cordially invite you to the next

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Ökonometrisches Forschungsseminar / Econometric Research Seminar

(M.Deistler, A. Weber)

on Thursday, February 14, 2002, at 9:15 a.m.

Institute for Advanced Studies, HS II Stumpergasse 56, A-1060 Vienna

Engelbert J. DOCKNER (University of Vienna)

"Nonlinear Versus Non-Gaussian Volatility Models."

Abstract:

With the introduction of GARCH models empirical research in finance started to focus on the issue of nonlinear and non-Gaussian models for conditional variances. In this paper we present a recurrent mixture density network and estimate conditional variances. Using stock market returns it turns out that while nonlinear modelling does not seem to be important, non-Gaussian conditional distributions are necessary to capture time varying higher moments and fat tails.

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Sincerely,

Beatrix Pawelczak